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The Credit Risk Measurement Research of Chinese Commercial Banks Based on DEA Model

Author: WangChong
Tutor: LiMengGang
School: Beijing Jiaotong University
Course: Industrial Economics
Keywords: Commercial banks Credit risk DEA super efficiency model
CLC: F832.33
Type: Master's thesis
Year: 2014
Downloads: 120
Quote: 0
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Abstract


The global financial crisis incurred by the American subprime crisis seriously hurt the economy of the whole world in2007.There are a lot of reasons that can explain the financial crisis, but the main reason is the out of control on the credit risk. Credit risk is the most important risk what modern commercial banks are facing, and it’s one of the most common causes which lead to bank failures. Compared with foreign large commercial banks, Chinese commercial banks still have quite a number of deficiencies in credit risk management. How to enhance the level of Chinese commercial banks’ credit risk management has become the issues of common concern among the academia and banking industry.In order to find the appropriate credit risk management method for banks in China, credit risk and its existing methods are introduced at first. Then strength and weakness of each method are discussed and the adaptability in China is presented. After introducing the current situation of China’s commercial banks credit risk management, we analyze the problems and causes of China’s commercial banks credit risk management from the external and internal two aspects respectively. The main part of this paper was validating the feasibility of DEA super efficiency model in credit scoring of enterprises of China. According to characters of20enterprises of China and financial statement,5financial ratios were chosen to be the inputs and outputs of DEA super efficiency model. Finally the DEA credit score was calculated and the results were validated via ST and non-ST classification method.The main conclusions of the paper are:First, credit risk management of commercial banks in China make great achievements, but still have many problems:Basic social credit system is imperfect, the bank’s internal credit risk management philosophy is relatively weak and lagging, the lack of advanced credit risk measurement methods and lack of professional financial risk management personnel. Second, the empirical studies have shown that DEA super efficiency scoring model can effectively evaluate the credit status of listed companies in China. Third, china’s commercial banks should constantly improve the credit risk measurement and management level from the market management, legal construction, financial regulation, the bank’s internal governance, accounting approval, personnel training and motivation.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial organizations, banks > Commercial banks ( specialized banks )
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